Modelling and estimation of the yield curve

Modelling the yield curve with some parametric models. The models implemented are: Nelson-Siegel, Diebold-Li and Svensson. The package also includes the data of the term structure of interest rate of Federal Reserve Bank and European Central Bank.


Reference manual

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4.1 by Sergio Salvino Guirreri, 9 years ago

Browse source code at

Authors: Sergio Salvino Guirreri

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL (>= 2) license

Depends on xts

Suggested by statespacer.

See at CRAN